If you own a tinfoil hat, now might be a good time to go grab it. Apparently Windows Vista has no less than 20 features/services that harvest information:
"Are you using Windows Vista? Then you might as well know that the licensed operating system installed on your machine is harvesting a healthy volume of information for Microsoft. In this context, a program such as the Windows Genuine Advantage is the last of your concerns. In fact, in excess of 20 Windows Vista features and services are hard at work collecting and transmitting your personal data to the Redmond company.
Microsoft makes no secret about the fact that Windows Vista is gathering information. End users have little to say, and no real choice in the matter. The company does provide both a Windows Vista Privacy Statement and references within the End User License Agreement for the operating system. Combined, the resources paint the big picture over the extent of Microsoft's end user data harvest via Vista."
According to the End User License Agreement (EULA), users who deign to use any of the following software and/or services agree (by using) to send MS various collected data: Windows Update, Web Content, Digital Certificates, Auto Root Update, Windows Media Digital Rights Management, Windows Media Player, Malicious Software Removal/Clean On Upgrade, Network Connectivity Status Icon, Windows Time Service, and the IPv6 Network Address Translation (NAT) Traversal service.
There's no telling exactly what program sends what, and how much of that is needed for proper functioning of features like automatic update, but it is probably enough to unnerve some people. Of course, if you have a tinfoil hat, you probably read the EULA and knew all this already.